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ABSTRACT
An Analysis of Capital Asset Pricing Model and Arbitrage Pricing Theory
in Predicting Stock’s Return
of Jakarta Islamic Index Group of Stocks
By
Andam Dewi
The aim of this study is to analyze Capital Asset Pricing Model (CAPM) and Arbitrage Pricing
Theory (APT) in predicting stock‟s return of Jakarta Islamic Index(JII) group of stocks. The data
were collected from Jakarta Stock Exchange, Bank of Indonesia and Statistics Indonesia. Bivariate
and multivariate regression analysis were used to analyze the data. Theil‟s U, Adjusted R-Square
and Estimated Standard Error were used to determine the accuracy of the model in predicting the
stock‟s return. The CAPM says that expected return of stock or portfolio only influenced by
systematic risk from market. Meanwhile, the APT says that expected return of stock or portfolio
influenced by systematic risk from many factors. The result of the study shows that according to
the historical data from 2002 through 2004, excess return of stock of JII group influenced
significantly by excess return of market (JII index), though not all of them prove high R-Square
from regression analysis. Meanwhile, in relation to the APT, that historical data analysis also
shows that excess return of stock influenced by risk premium of several macroeconomy indicators
which Market Composite Index (IHSG) is the prominent factor. Similarly to the CAPM‟s analysis,
the APT‟s analysis shows only 5 of 13 stocks‟ samples indicate the high R-Square. The market
factor is the main factor that influence the stock‟s return. According to the result of both model
analysis, the author conclude that the both model could use to predict the future stock‟s return. An
analysis of each model‟s ability in predicting future stock‟s return which is done in order to
determine which model more accurate than another gives the different results. That depends on the
parameter used. In general, the CAPM is better than the APT.